asianoption.hpp File Reference

Abstract engine builders for European Asian Options. More...

#include <ored/portfolio/builders/vanillaoption.hpp>
#include <boost/make_shared.hpp>
#include <ored/portfolio/builders/cachingenginebuilder.hpp>
#include <ored/utilities/log.hpp>
#include <ored/utilities/to_string.hpp>
#include <ored/utilities/parsers.hpp>
#include <ored/utilities/indexparser.hpp>
#include <ql/pricingengines/asian/analytic_cont_geom_av_price.hpp>
#include <ql/pricingengines/asian/analytic_discr_geom_av_price.hpp>
#include <ql/pricingengines/asian/analytic_discr_geom_av_strike.hpp>
#include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp>
#include <ql/pricingengines/asian/mc_discr_arith_av_strike.hpp>
#include <ql/pricingengines/asian/turnbullwakemanasianengine.hpp>
#include <ql/utilities/null.hpp>
#include <ored/portfolio/basketoption.hpp>
#include <ored/portfolio/enginefactory.hpp>

Classes
class	AsianOptionEngineBuilder
	Abstract Engine Builder for Asian Options. More...
class	EuropeanAsianOptionMCDAAPEngineBuilder
	Discrete Monte Carlo Engine Builder for European Asian Arithmetic Average Price Options. More...
class	EuropeanAsianOptionMCDAASEngineBuilder
	Discrete Monte Carlo Engine Builder for European Asian Arithmetic Average Strike Options. More...
class	EuropeanAsianOptionMCDGAPEngineBuilder
	Discrete Monte Carlo Engine Builder for European Asian Geometric Average Price Options. More...
class	EuropeanAsianOptionADGAPEngineBuilder
	Discrete Analytic Engine Builder for European Asian Geometric Average Price Options. More...
class	EuropeanAsianOptionADGASEngineBuilder
	Discrete Analytic Engine Builder for European Asian Geometric Average Strike Options. More...
class	EuropeanAsianOptionACGAPEngineBuilder
	Continuous Analytic Engine Builder for European Asian Geometric Average Price Options. More...
class	EuropeanAsianOptionTWEngineBuilder
	Discrete Analytic TW Engine Builder for European Asian Arithmetic Average Price Options. More...
class	AsianOptionScriptedEngineBuilder

Namespaces
namespace	ore
	Serializable Credit Default Swap.
namespace	ore::data

Detailed Description

Abstract engine builders for European Asian Options.